It was one of the things I found amusing my first time using OS X after growing up on Windows. Enter would “enter” a folder or execute a program, while Return in Finder starts renaming the file.
On Windows you can rename with F2, and on macOS, Command-Down will work like enter does on Windows (I think of it like going down a directory, since up does the opposite, though it also will launch a file).
You open files and directories far more often than you rename them, so F2 makes sense for rename but Enter / Return doesn't. It was clearly an afterthought as Macs were always meant to be used with a mouse.